trouble for order management while backtesting

Akshay Mehara

hi,
I am new here and have little knowledge of coding. I am trying to build an algorithm that is having a crossover of sma30, rsi and atr. as i initiate backtesting. there is only one order placed. can any one help me in this
here is the full code. if you want to check it plz backtest it and assist me.

import datetime
import backtrader as bt
import backtrader.feeds as btfeeds
from backtrader import indicators

from nsepy import get_history
from datetime import date

class mystrategy(bt.Strategy):
def log(self, txt, dt = None):
dt = dt or self.datas[0].datetime.date(0)
print("%s, %s" % (dt, txt))

def __init__(self):
	self.dataclose = self.datas[0].close
	self.order = None
	self.buyprice = None
	self.buycomm = None
	self.sma30 = bt.talib.SMA(self.data.close, period = 30)
	self.atr = bt.talib.ATR(self.data.high, self.data.low, self.data.close, period = 14)
	self.rsi = bt.talib.RSI(self.data.close, period = 14)

def notify_order(self, order):
	if order.status in [order.Submitted, order.Accepted]:
		return
	if order.status in [order.Completed]:
		if order.isbuy():
			self.log("Buy executed, price %.2f, cost %.2f, comm %.2f" % (order.executed.price, order.executed.value, order.executed.comm))
			self.buyprice = order.executed.price
			self.buycomm = order.executed.comm
		else:
			self.log("Sell executed, price %.2f, cost %.2f, comm %.2f" % (order.executed.price, order.executed.value, order.executed.comm))
		self.bar_executed = len(self)

	elif order.status in [order.Canceled, order.Margin, order.Rejected]:
		self.log("order Canceled/Margin/Rejected")
	self.order = None

def notify_trade(self, trade):
	if not trade.isclosed:
		return
	self.log("Operation profit , gross %.2f, net %.2f" % (trade.pnl, trade.pnlcomm))

def next(self):
	self.log("Close, %.2f" % self.dataclose[0])
	if self.order:
		return
	if not self.position:
		if self.sma30[0] > self.atr[0] and self.rsi[0] > 50:
			self.log("Buy Create, %.2f" % self.dataclose[0])
			self.order = self.buy()
	else:
		if self.rsi[0] < 50 and self.sma30[0] < self.atr[0]:
			self.log("Sell Create, %.2f" % self.dataclose[0])
			self.order = self.sell()

if name == "main":
cerebro = bt.Cerebro()
cerebro.addstrategy(mystrategy)

data = btfeeds.GenericCSVData(
	dataname="sbin.csv",
	fromdate=datetime.datetime(2015, 1, 1),
	todate=datetime.datetime(2020, 4, 30),
	nullvalue=0.0,
	dtformat=('%Y-%m-%d'),
	datetime=0,
	high=5,
	low=6,
	open=4,
	close=8,
	volume=10,
	openinterest=-1,
	)

cerebro.adddata(data)
cerebro.broker.setcash(100000)
cerebro.addsizer(bt.sizers.FixedSize, stake = 10)
cerebro.broker.setcommission(commission = 0.01)
print("Starting Portfolio Value: %.2f" % cerebro.broker.getvalue())
cerebro.run()
print("Final Portfolio Value: %.2f" % cerebro.broker.getvalue())
cerebro.plot()

Akshay Mehara

@Akshay-Mehara said in trouble for order management while backtesting:

hi,
I am new here and have little knowledge of coding. I am trying to build an algorithm that is having a crossover of sma30, rsi and atr. as i initiate backtesting. there is only one order placed. can any one help me in this
here is the full code. if you want to check it plz backtest it and assist me.

import datetime
import backtrader as bt
import backtrader.feeds as btfeeds
from backtrader import indicators

from nsepy import get_history
from datetime import date

class mystrategy(bt.Strategy):
def log(self, txt, dt = None):
dt = dt or self.datas[0].datetime.date(0)
print("%s, %s" % (dt, txt))

def init(self):
self.dataclose = self.datas[0].close
self.order = None
self.buyprice = None
self.buycomm = None
self.sma30 = bt.talib.SMA(self.data.close, period = 30)
self.atr = bt.talib.ATR(self.data.high, self.data.low, self.data.close, period = 14)
self.rsi = bt.talib.RSI(self.data.close, period = 14)

def notify_order(self, order):
if order.status in [order.Submitted, order.Accepted]:
return
if order.status in [order.Completed]:
if order.isbuy():
self.log("Buy executed, price %.2f, cost %.2f, comm %.2f" % (order.executed.price, order.executed.value, order.executed.comm))
self.buyprice = order.executed.price
self.buycomm = order.executed.comm
else:
self.log("Sell executed, price %.2f, cost %.2f, comm %.2f" % (order.executed.price, order.executed.value, order.executed.comm))
self.bar_executed = len(self)
  elif order.status in [order.Canceled, order.Margin, order.Rejected]:
  	self.log("order Canceled/Margin/Rejected")
  self.order = None
def notify_trade(self, trade):
if not trade.isclosed:
return
self.log("Operation profit , gross %.2f, net %.2f" % (trade.pnl, trade.pnlcomm))

def next(self):
self.log("Close, %.2f" % self.dataclose[0])
if self.order:
return
if not self.position:
if self.sma30[0] > self.atr[0] and self.rsi[0] > 50:
self.log("Buy Create, %.2f" % self.dataclose[0])
self.order = self.buy()
else:
if self.rsi[0] < 50 and self.sma30[0] < self.atr[0]:
self.log("Sell Create, %.2f" % self.dataclose[0])
self.order = self.sell()

if name == "main":
cerebro = bt.Cerebro()
cerebro.addstrategy(mystrategy)

data = btfeeds.GenericCSVData(
dataname="sbin.csv",
fromdate=datetime.datetime(2015, 1, 1),
todate=datetime.datetime(2020, 4, 30),
nullvalue=0.0,
dtformat=('%Y-%m-%d'),
datetime=0,
high=5,
low=6,
open=4,
close=8,
volume=10,
openinterest=-1,
)

cerebro.adddata(data)
cerebro.broker.setcash(100000)
cerebro.addsizer(bt.sizers.FixedSize, stake = 10)
cerebro.broker.setcommission(commission = 0.01)
print("Starting Portfolio Value: %.2f" % cerebro.broker.getvalue())
cerebro.run()
print("Final Portfolio Value: %.2f" % cerebro.broker.getvalue())
cerebro.plot()

the csv file for backtesting data

run-out

What result were you expecting?

ab_trader

I don;t think that comparison of the sma and atr will bring you a lot of the signals. sma is roughly the price, and atr is the volatility, price change.

Akshay Mehara

@run-out I thought it would give me buy and sell signals. but it only gave buy signal